Tests for almost stochastic dominance

This is an Accepted Manuscript version of the following article, accepted for publication in Journal of Business & Economic Statistics. Baíllo Moreno, Amparo; Cárcamo, Javier; Mora Corral, Carlos. “Tests for Almost Stochastic Dominance”. Journal of Business & Economic Statistics 43.2 (2025):...

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Detalhes bibliográficos
Autores: Baíllo Moreno, Amparo, Mora Corral, Carlos, Cárcamo Urtiaga, Javier
Tipo de documento: artigo
Data de publicação:2024
País:España
Recursos:Universidad Autónoma de Madrid
Repositório:Biblos-e Archivo. Repositorio Institucional de la UAM
Idioma:inglês
OAI Identifier:oai:repositorio.uam.es:10486/720803
Acesso em linha:http://hdl.handle.net/10486/720803
https://dx.doi.org/10.1080/07350015.2024.2374274
Access Level:Acceso aberto
Palavra-chave:Bootstrap consistency
Lorenz curve
Stochastic orders
Violation ratio
Matemáticas
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spelling Tests for almost stochastic dominanceBaíllo Moreno, AmparoMora Corral, CarlosCárcamo Urtiaga, JavierBootstrap consistencyLorenz curveStochastic ordersViolation ratioMatemáticasThis is an Accepted Manuscript version of the following article, accepted for publication in Journal of Business & Economic Statistics. Baíllo Moreno, Amparo; Cárcamo, Javier; Mora Corral, Carlos. “Tests for Almost Stochastic Dominance”. Journal of Business & Economic Statistics 43.2 (2025): 338–350. It is deposited under the terms of the Creative Commons Attribution-NonCommercial License (http://creativecommons.org/licenses/by-nc/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly citedWe introduce a two-dimensional stochastic dominance (2DSD) index to characterize both strict and almost stochastic dominance. Based on this index, we derive an estimator for the minimum violation ratio (MVR), also known as the critical parameter, of the almost stochastic ordering condition between two variables. We determine the asymptotic properties of the empirical 2DSD index and MVR for the most frequently used stochastic orders. We also provide conditions under which the bootstrap estimators of these quantities are strongly consistent. As an application, we develop consistent bootstrap testing procedures for almost stochastic dominance. The performance of the tests is checked via simulations and the analysis of real dataSupported by the Spanish Agencia Estatal de Investigación through projects PID2019-109387GB-I00 (A.B. and J.C.), PID2021-124195NB-C32 (C.M-C.) and the Severo Ochoa Programme CEX2019-000904-S (C.M.-C.). C.M-C. has also been supported by the ERC Advanced grant 834728Departamento de MatemáticasFacultad de Ciencias20242024-08-28research articlehttp://purl.org/coar/resource_type/c_2df8fbb1AMhttp://purl.org/coar/version/c_ab4af688f83e57aainfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10486/720803https://dx.doi.org/10.1080/07350015.2024.2374274reponame:Biblos-e Archivo. Repositorio Institucional de la UAMinstname:Universidad Autónoma de MadridInglésengopen accesshttp://purl.org/coar/access_right/c_abf2Attribution-NonCommercial 4.0 Internationalhttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccessoai:repositorio.uam.es:10486/7208032026-06-23T12:46:27Z
dc.title.none.fl_str_mv Tests for almost stochastic dominance
title Tests for almost stochastic dominance
spellingShingle Tests for almost stochastic dominance
Baíllo Moreno, Amparo
Bootstrap consistency
Lorenz curve
Stochastic orders
Violation ratio
Matemáticas
title_short Tests for almost stochastic dominance
title_full Tests for almost stochastic dominance
title_fullStr Tests for almost stochastic dominance
title_full_unstemmed Tests for almost stochastic dominance
title_sort Tests for almost stochastic dominance
dc.creator.none.fl_str_mv Baíllo Moreno, Amparo
Mora Corral, Carlos
Cárcamo Urtiaga, Javier
author Baíllo Moreno, Amparo
author_facet Baíllo Moreno, Amparo
Mora Corral, Carlos
Cárcamo Urtiaga, Javier
author_role author
author2 Mora Corral, Carlos
Cárcamo Urtiaga, Javier
author2_role author
author
dc.contributor.none.fl_str_mv Departamento de Matemáticas
Facultad de Ciencias
dc.subject.none.fl_str_mv Bootstrap consistency
Lorenz curve
Stochastic orders
Violation ratio
Matemáticas
topic Bootstrap consistency
Lorenz curve
Stochastic orders
Violation ratio
Matemáticas
description This is an Accepted Manuscript version of the following article, accepted for publication in Journal of Business & Economic Statistics. Baíllo Moreno, Amparo; Cárcamo, Javier; Mora Corral, Carlos. “Tests for Almost Stochastic Dominance”. Journal of Business & Economic Statistics 43.2 (2025): 338–350. It is deposited under the terms of the Creative Commons Attribution-NonCommercial License (http://creativecommons.org/licenses/by-nc/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited
publishDate 2024
dc.date.none.fl_str_mv 2024
2024-08-28
dc.type.none.fl_str_mv research article
http://purl.org/coar/resource_type/c_2df8fbb1
AM
http://purl.org/coar/version/c_ab4af688f83e57aa
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10486/720803
https://dx.doi.org/10.1080/07350015.2024.2374274
url http://hdl.handle.net/10486/720803
https://dx.doi.org/10.1080/07350015.2024.2374274
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial 4.0 International
http://creativecommons.org/licenses/by-nc/4.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial 4.0 International
http://creativecommons.org/licenses/by-nc/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Biblos-e Archivo. Repositorio Institucional de la UAM
instname:Universidad Autónoma de Madrid
instname_str Universidad Autónoma de Madrid
reponame_str Biblos-e Archivo. Repositorio Institucional de la UAM
collection Biblos-e Archivo. Repositorio Institucional de la UAM
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repository.mail.fl_str_mv
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